Macro-Financial Linkages in the Polish Economy: Combined Impulse-Response Functions in SVAR Models

NBP Working Paper No. 246

48 Pages Posted: 1 Oct 2016

See all articles by Dobromil Serwa

Dobromil Serwa

National Bank of Poland; Warsaw School of Economics (SGH)

Piotr Wdowinski

University of Lodz; Narodowy Bank Polski; CESifo (Center for Economic Studies and Ifo Institute for Economic Research)

Date Written: September 23, 2016

Abstract

We estimated a structural vector autoregressive (SVAR) model describing the links between a banking sector and a real economy. We proposed a new method to verify robustness of impulse-response functions in a SVAR model. This method applies permutations of the variable ordering in a structural model and uses the Cholesky decomposition of the error covariance matrix to identify parameters. Impulse response functions are computed for all permutations and are then combined. We explored the method in practice by analyzing the macro-financial linkages in the Polish economy. Our results indicate that the combined impulse response functions are more uncertain than those from a single specification ordering but some findings remain robust. It is evident that macroeconomic aggregate shocks and interest rate shocks have a significant impact on banking variables.

Keywords: vector autoregression, Cholesky decomposition, combined impulse response

JEL Classification: C32, C51, C52, C87, E44, E58

Suggested Citation

Serwa, Dobromil and Wdowinski, Piotr, Macro-Financial Linkages in the Polish Economy: Combined Impulse-Response Functions in SVAR Models (September 23, 2016). NBP Working Paper No. 246. Available at SSRN: https://ssrn.com/abstract=2845737 or http://dx.doi.org/10.2139/ssrn.2845737

Dobromil Serwa (Contact Author)

National Bank of Poland ( email )

00-919 Warsaw
Poland

Warsaw School of Economics (SGH) ( email )

aleja Niepodleglosci 162
PL-Warsaw, 02-554
Poland

Piotr Wdowinski

University of Lodz ( email )

Ulica Prezydenta Gabriela
Narutowicza 65 str.
Lodz, 90-131
Poland

Narodowy Bank Polski ( email )

ul. Świętokrzyska 11/21
Warsaw, 00-919
Poland

CESifo (Center for Economic Studies and Ifo Institute for Economic Research) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

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